Discrete Approximations for Stochastic Control Problems with Control Acting Continuously and Impulsively.

摘要

Stochastic control problems of either the optimal stopping or impulsive control type on diffusion models are considered, but there is also a continuously acting control. Various computationally convenient Markov chain approximations to the problems are developed, and it is shown that the costs for the sequence of approximations converge to the optimal cost for original problems.